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Generic Pricing Of Fx Inflation And Stock Options Under Stochastic Interest Rates And Stochastic Volatility
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Book Synopsis Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility by : Alexander van Haastrecht
Download or read book Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility written by Alexander van Haastrecht and published by . This book was released on 2009 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal) and the foreign (real) rates. Having the flexibility to correlate the underlying FX/Inflation/Stock index with both stochastic volatility and stochastic interest rates yields a realistic model, which is of practical importance for the pricing and hedging of options with a long-term exposure. We derive explicit valuation formulas for various securities, such as vanilla call/put options, forward starting options, inflation-indexed swaps and inflation caps/floors. These vanilla derivatives can be valued in closed-form under Schobel and Zhu (1999) stochastic volatility, whereas we devise an (Monte Carlo) approximation in the form of a very effective control variate for the general Heston (1993) model. Finally, we numerical investigate the quality of this approximation and consider a calibration example to FX market data.
Book Synopsis Pricing Stock Options Under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation by : George J. Jiang
Download or read book Pricing Stock Options Under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation written by George J. Jiang and published by . This book was released on 1998 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility by : Alexander van Haastrecht
Download or read book Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility written by Alexander van Haastrecht and published by . This book was released on 2011 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we extend the stochastic volatility model of Schouml;bel and Zhu (1999) by including stochastic interest rates. Furthermore we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price distribution, we are able to price European stock options in closed-form by Fourier inversion. Furthermore we present a Foreign Exchange generalization and show how the pricing of Forward-starting options like cliquets can be performed. Additionally we discuss the practical implementation of these new models.
Book Synopsis Pricing Stock Options Under Stochastic Volatility and Interest Rates with Efficient Method of Moments Estimation by : George J. Jiang
Download or read book Pricing Stock Options Under Stochastic Volatility and Interest Rates with Efficient Method of Moments Estimation written by George J. Jiang and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates by : Jannick B. G. Schreiner
Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Jannick B. G. Schreiner and published by . This book was released on 2012 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates by : Alexey Medvedev
Download or read book Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates written by Alexey Medvedev and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case by : Marc Sáez
Download or read book Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case written by Marc Sáez and published by . This book was released on 1995 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case by : Marc Sáez i Zafra
Download or read book Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case written by Marc Sáez i Zafra and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Relative Pricing of Options with Stochastic Volatility by : Olivier Ledoit
Download or read book Relative Pricing of Options with Stochastic Volatility written by Olivier Ledoit and published by . This book was released on 1998 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a new approach for pricing options on assets with stochastic volatility. We start by constructing the quot;surfacequot; of Black-Scholes implied volatilities for (readily observable) liquid, European call options with varying strike prices and maturities. Then, we show that the implied volatility of an at-the-money call option with time-to-maturity going tozero is equal to the underlying asset's instantaneous (stochastic) volatility. We then model the stochastic processes followed by the implied volatilities of options of all maturities and strike prices jointly with the stock price, and find a no-arbitrage condition that their drift must satisfy. Finally, we use the resulting arbitrage-free joint process for the stock price and its volatility to price other derivatives, such as standard but illiquid options as well as exotic options using numerical methods. The great advantage of our approach is that, when pricing these other derivatives, we are secure in the knowledge that the model values the hedging instruments - namely the stock and the simple, liquid options - consistently with the market. Our approach can easily be extended to allow for stochastic interest rates and a stochastic dividend yield, which may be particularly relevant to the pricing of currency and commodity options. We can also extend our model to price bond options when the term structure of interest rates has stochastic volatility.
Book Synopsis Pricing Long-term Options with Stochastic Volatility and Stochastic Interest Rates by : Alexander van Haastrecht
Download or read book Pricing Long-term Options with Stochastic Volatility and Stochastic Interest Rates written by Alexander van Haastrecht and published by . This book was released on 2010 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Volatility and FX Option Pricing by : Bernd Mahler
Download or read book Stochastic Volatility and FX Option Pricing written by Bernd Mahler and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes if the implied volatility surface of foreign exchange options should be modelled by using classical stochastic volatility option pricing models or if more complex models like the Stochastic Skew models recently proposed by Carr and Wu (2004) are required. For this purpose three stochastic volatility models including the Heston model (1993), a restricted Heston model, a Hull White (1987) Model as well as three Stochastic Skew models based on different Jump structures, are calibrated and applied to the pricing of EURUSD and USDJPY options issued on the German foreign exchange options retail market. The comparison of market prices and model prices indicate that both for EURUSUD and USDJPY Stochastic Skew models based on time-changed Lévy processes mostly outperform traditional stochastic volatility models like Heston in capturing highly skewed implied volatility surfaces.
Book Synopsis Index option pricing models with stochastic volatility and stochastic interest rates by :
Download or read book Index option pricing models with stochastic volatility and stochastic interest rates written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures by : Hun Young Park
Download or read book Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures written by Hun Young Park and published by . This book was released on 1984 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Stock Options in a Jump-diffusion Model with Stochastic Volatility and Interest Rates by : Louis O. Scott
Download or read book Pricing Stock Options in a Jump-diffusion Model with Stochastic Volatility and Interest Rates written by Louis O. Scott and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates by : George J. Jiang
Download or read book Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates written by George J. Jiang and published by . This book was released on 2000 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee
Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].
Book Synopsis Inspired by Finance by : Yuri Kabanov
Download or read book Inspired by Finance written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2013-10-23 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.
